Thu, Oct 27, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Parker FX Index -0.33% in June, +1.51% YTD

Thursday, July 25, 2013
Opalesque Industry Update - The Parker FX Index is reporting a -0.33% return for the month of June. Forty-one of the forty-three programs in the Index reported June 2013 results, of which fifteen reported positive results and twenty-six incurred losses. On a risk-adjusted basis, the Index was down -0.14% in June. The median return for the month was -0.23%, while the performance for June ranged from a high of +11.02% to a low of -5.67%.

In addition to the broad Parker FX Index, there are two style driven sub-indices: the Parker Systematic Index, which tracks those managers whose decision process is rule based, and the Parker Discretionary Index, which tracks managers whose decision process is judgmental. During June, the Systematic Index was down -0.32% and the Discretionary Index was down -0.34%. On a risk-adjusted basis, the Parker Systematic Index was down -0.12% and the Parker Discretionary Index was down -0.25%.

The top three performing constituent programs for the month of June on a reported basis, returned +11.02%, +3.77% and +1.85%, respectively. The top three performers on a risk-adjusted basis returned +3.73%, +1.57% and +1.10%, respectively.

The US dollar strengthened versus other G-10 currencies following the Federal Reserve’s comments that the central bank may gradually slow or end the quantitative easing programs. The rally gradually faded after disappointing US GDP data prompted investors to question the likelihood of the Federal Reserve changing course. Elsewhere, the yen’s decline versus the dollar reversed as the currency strengthened by 1.58%. Emerging market currencies were negatively impacted by the diminished growth targets and higher rates in the US.

The Parker FX Index is a performance-based benchmark that measures both the reported and the risk adjusted returns of global currency managers. It is the first index used to analyze unleveraged (risk-adjusted) performance in order to calculate pure currency alpha, or manager skill. The 330-month compounded annual return since inception (January, 1986 through June, 2013) is up +10.48% on a reported basis and up +2.94% on a risk adjusted basis.

press release


What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  2. David Einhorn speaks on passive investing, Mylan, his cheapest stock, the Fed[more]

    From Greenlight Capital hedge fund manager David Einhorn (Trades, Portfolio) joined nine other famed investors on Tuesday to talk about stocks at the annual Great Investors’ Best Ideas Investment Symposium in Dallas. Presenters at the annual conference typically pitch one or severa

  3. Investing - Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities, Lansdowne's Roden says likes animal genetics company Genus[more]

    Fund set up to buy illiquid hedge fund stakes finds plenty of opportunities From As ValueWalk reported back in February, earlier this year Andrew Lawrence set out to raise $250 million to $500 million for a fund that will buy stakes in hedge funds that have suspended redem

  4. Other Voices: Follow the advice of investment consultants - I think not[more]

    Mark Rzepczynski, Founding Partner, Chief Investment Officer AMPHI Research and Trading, writes on Harvest Exchange: Investment consultants are a force to the reckoned with in the pension world. They advise and drive many pension decisions around the globe. Consultants literally control trillion

  5. Opalesque Roundtable: Style drift, poor communications and credibility fatigue are biggest red flags for hedge funds investors[more]

    Komfie Manalo, Opalesque Asia: Style drift, poor communications and credibility fatigue are the biggest red flags for hedge funds investors, said participants of the latest 2016 Opalesque Investor Roundtable, sponso